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Can trend followers survive in the long-run? : insights from agent-based modeling

He, Xue-zhong; Hamill, Philip A.; Li, Youwei - In: Natural computing in computational finance ; [the …, (pp. 253-269). 2008

Persistent link: https://www.econbiz.de/10009515165

Heterogeneous expectations in asset pricing : empirical evidence from the S&P500

Chiarella, Carl; He, Xue-zhong; Zwinkels, Remco C. J. - In: Journal of economic behavior & organization : JEBO 105 (2014), pp. 1-16

Persistent link: https://www.econbiz.de/10010465070

Mutual Fund Performance Evaluation and Best Clienteles

Chrétien, Stéphane - 2017

This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible...

Persistent link: https://www.econbiz.de/10012970463

Application of modern portfolio theory in the case of Thai equity market

Rattanathorncharoenchai, Khanangrat; Jiang, Jun - In: International journal of economic research 11 (2014) 1/2, pp. 481-495

Persistent link: https://www.econbiz.de/10010360950

Performance evaluation with information on portfolio compositions

Hwang, Sun-wung; Park, Jinwoo - In: Asia-Pacific journal of financial studies 40 (2011) 5, pp. 710-730

Persistent link: https://www.econbiz.de/10009566676

Mutual fund performance evaluation and best clienteles

Chrétien, Stéphane; Kammoun, Manel - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1577-1604

Persistent link: https://www.econbiz.de/10011928398

Does the sentiment of investors explain differences between predicted and realized stock prices?

Spilioti, Stella N. - In: Studies in economics and finance 33 (2016) 3, pp. 403-416

Persistent link: https://www.econbiz.de/10011722532

Evidence on the presence of representativeness bias in investor interpretation of consistency in sales growth

Ahmed, Anwer S.; Safdar, Irfan - In: Management science : journal of the Institute for … 63 (2017) 1, pp. 97-113

Persistent link: https://www.econbiz.de/10011646340

Technical analysis as a sentiment barometer and the cross-section of stock returns

Ding, Wenjie; Mazouz, Khelifa; Ap Gwilym, Owain; Wang, … - In: Quantitative finance 23 (2023) 11, pp. 1617-1636

Persistent link: https://www.econbiz.de/10014419182

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439